where \(\bullet ^+\)  denotes the value of \(\bullet \)  at time step \(t+1\) . Let the vectorization of the covariance matrix be denoted \(\mathbf {\sigma }^+ = \mathrm {vec}(\mathbf {\Sigma }^+)\)  and similarly \(\mathbf {\sigma }^f = \mathrm {vec}(\mathbf {\Sigma }^f)\) . Vectorizing () gives [1]}
\(\mathbf {\sigma }^{+} = \mathbf {A}_{\phi }\otimes \mathbf {A}_{\phi }^{T}\mathbf {\sigma }+\mathbf {B}_{\phi }\otimes \mathbf {B}_{\phi }^{T}\mathbf {\sigma }^{f} ,\) 
